[Samsung Infuse 4G] DaMeatMan:
When installing a new custom ROM you need to look at it as a fresh install of a new OS. In other words, yes you will lose your installed apps, however there are plenty of apps available which can help you with the restore process. One that i like to use is Titanium Backup, however you will need to be rooted for this to work. If you have not already rooted your stock ROM, then you may want to download an app from the market that creates an "app list" rather then an actual backup of the apps themselves.

One thing to keep in mind though if you are using Titanium Backup, when restoring make sure to only select the "restore App" option, rather then "App + Data". Restoring data will attempt to restore app data that references your previous ROM, which will almost always break your installation and cause things to go wacky. Installing app only basically does a fresh install on your new ROM without causing any issues.

Will it be faster? It depends on which ROM you install, but the short answer is most likely yes. I can tell you that CM7 and MIUI will be faster as i have tried them myself. Benchmarks will show this to be true, but take this with a grain of salt. The real test is "real world snappiness", and i can tell you that in practical real world application, CM7 and MIUI feel a heck of allot smoother and responsive then the stock Rogers ROM that i was coming from.

Will you get better battery life? I don't know, it depends again on what you install. But my current experience is that i am getting better battery life on MIUI vs stock. I did however disable some of the built in extras on MIUI like network data monitoring, and battery monitoring. You may or may not have to do this, but i found that turning off any background monitoring processes provided me with the longest battery life. About 20+ hours to 5 -10% with moderate to heavy usage.

Future updates. This all depends on the cook or dev of the ROM. Generally though you will want to follow their install instructions to the letter to avoid any issues. Many times though when updating from one version of MIUI to newer version of same MIUI, you can simply install without "full wipe" and this will keep your installed apps intact. However if the dev specifically calls for a full wipe, then you should do it to avoid issues that could otherwise be avoided.

One thing to keep in mind however, is that when installing custom roms you need to understand that you are joining a community of testers. You should always approach it as such, and keep in mind that for the most part these releases are coming from people who do this as a hobby. You also need to keep in mind that you may likely run into bug's, so if you absolutely don't want to deal with this, please stick with stock. However if your adventurous and don't mind a few possible issues while trying out the latest and greatest that the community has to offer, then dive right in! When reporting issues, please do so with the utmost respect and keep this in mind that the Dev's do this on their spare time for our benefit, and they do not get paid for it. So please try to keep the reports as constructive as possible for everyone's benefit! :-)

Lastly, welcome to the android community agent888 and glad to hear you dropped the iphone and left the collective for a community that offers you freedom of choice!